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FINRA-ICE Data Services Structured Trading Activity Reports

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

MARCH Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 90.0 94.5 96.2 97.7 99.1 100.2 101.3
Weighted Avg. Price 90.0 94.5 96.2 97.7 99.1 100.2 101.2
Avg. Price Bottom 5 Trades 86.6 94.4 96.1 97.6 99.0 100.2 101.2
2nd Quartile Price 88.0 94.4 96.1 97.7 99.1 100.2 101.2
3rd Quartile Price 90.4 94.5 96.2 97.7 99.1 100.2 101.2
4th Quartile Price 92.5 94.5 96.2 97.7 99.1 100.2 101.3
Avg. Price Top 5 Trades 92.5 94.5 96.3 97.8 99.2 100.2 101.5
Standard Deviation 2.2 0.0 0.1 0.1 0.0 0.0 0.4
     VOLUME OF TRADES (000'S) 219,741.0 3,098.0 121,301.0 268,169.0 334,800.0 173,800.0 249,500.0
     NUMBER OF TRADES 33 7 18 27 52 23 16
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE * 0.0 * * 99.1 100.1 101.4
Weighted Avg. Price * 0.0 * * 99.1 100.1 101.1
Avg. Price Bottom 5 Trades * 0.0 * * 99.1 100.1 101.4
2nd Quartile Price * 0.0 * * 99.1 100.1 *
3rd Quartile Price * 0.0 * * 99.1 100.2 *
4th Quartile Price * 0.0 * * 99.2 100.2 *
Avg. Price Top 5 Trades * 0.0 * * 99.1 100.1 101.4
Standard Deviation * 0.0 * * 0.0 0.1 0.5
     VOLUME OF TRADES (000'S) * 0.0 * * 43,625.0 27,500.0 131,500.0
     NUMBER OF TRADES * 0 * * 9 6 5
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 0.0 0.0 0.0 * * 0.0 *
Weighted Avg. Price 0.0 0.0 0.0 * * 0.0 *
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 * * 0.0 *
2nd Quartile Price 0.0 0.0 0.0 * * 0.0 *
3rd Quartile Price 0.0 0.0 0.0 * * 0.0 *
4th Quartile Price 0.0 0.0 0.0 * * 0.0 *
Avg. Price Top 5 Trades 0.0 0.0 0.0 * * 0.0 *
Standard Deviation 0.0 0.0 0.0 * * 0.0 *
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 * * 0.0 *
     NUMBER OF TRADES 0 0 0 * * 0 *
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

MARCH Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 100.0 *
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 99.8 *
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 99.9 *
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 99.9 *
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 100.3 *
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 100.5 *
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 100.1 *
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.4 *
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 28,185.6 *
     NUMBER OF TRADES 0 0 0 0 0 6 *
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 84.4 90.1 92.7 95.2 97.4 99.1 101.1
Weighted Avg. Price 85.3 90.3 92.8 95.2 97.4 99.2 101.1
Avg. Price Bottom 5 Trades 80.9 89.7 92.6 95.1 97.2 99.0 100.2
2nd Quartile Price 81.2 90.1 92.6 95.1 97.3 99.1 100.4
3rd Quartile Price 84.3 90.2 92.8 95.2 97.3 99.1 101.3
4th Quartile Price 87.4 90.2 92.8 95.3 97.4 99.2 101.4
Avg. Price Top 5 Trades 87.6 90.4 92.9 95.3 97.6 99.3 102.4
Standard Deviation 2.8 0.6 0.1 0.1 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 10,039,629.7 1,500,668.5 3,198,331.8 2,416,974.5 1,657,392.9 3,691,909.6 6,431,739.4
     NUMBER OF TRADES 182 42 63 72 95 154 408
APRIL Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.2 88.7 91.7 94.3 96.7 98.7 100.8
Weighted Avg. Price 81.6 88.7 91.7 94.3 96.7 98.7 101.1
Avg. Price Bottom 5 Trades 74.2 88.6 91.6 94.2 96.6 98.6 100.3
2nd Quartile Price 81.7 88.6 91.6 94.3 96.7 98.7 100.3
3rd Quartile Price 81.8 88.7 91.7 94.3 96.7 98.7 100.3
4th Quartile Price 85.2 88.7 91.7 94.3 96.7 98.7 101.7
Avg. Price Top 5 Trades 85.3 88.9 91.9 94.4 96.9 99.3 103.6
Standard Deviation 2.9 0.2 0.1 0.0 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 7,569,287.8 3,714,473.1 4,465,588.0 8,502,164.8 10,726,382.8 16,871,812.4 33,161,384.3
     NUMBER OF TRADES 315 203 173 207 352 709 859
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 84.5 90.2 92.8 95.2 97.4 99.1 100.9
Weighted Avg. Price 84.2 90.3 92.9 95.2 97.4 99.1 100.8
Avg. Price Bottom 5 Trades 80.9 90.1 92.6 95.1 97.3 98.9 100.2
2nd Quartile Price 81.2 90.2 92.7 95.1 97.3 99.0 100.3
3rd Quartile Price 84.4 90.2 92.8 95.2 97.4 99.1 101.2
4th Quartile Price 87.4 90.3 92.9 95.3 97.4 99.1 101.3
Avg. Price Top 5 Trades 87.7 90.4 93.0 95.4 97.6 99.9 103.2
Standard Deviation 2.7 0.1 0.1 0.1 0.1 0.1 0.7
     VOLUME OF TRADES (000'S) 21,116,521.5 3,433,214.3 2,996,746.8 10,884,976.3 3,966,695.7 6,954,579.2 12,795,055.6
     NUMBER OF TRADES 272 80 83 130 165 306 716
MAY Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 82.9 * 91.7 94.3 96.7 98.7 100.9
Weighted Avg. Price 82.5 * 91.7 94.4 96.7 98.7 101.3
Avg. Price Bottom 5 Trades 81.3 * 91.7 94.3 96.7 98.6 100.2
2nd Quartile Price 81.9 * 91.7 94.3 96.7 98.7 100.3
3rd Quartile Price 82.0 * 91.7 94.3 96.7 98.7 100.3
4th Quartile Price 85.3 * 91.7 94.4 96.7 98.7 101.7
Avg. Price Top 5 Trades 85.3 * 91.7 94.4 96.8 99.1 103.1
Standard Deviation 2.0 * 0.0 0.1 0.0 0.1 0.8
     VOLUME OF TRADES (000'S) 2,384,852.0 * 599,981.0 1,632,700.0 2,123,900.0 3,121,300.0 15,710,040.0
     NUMBER OF TRADES 20 * 19 16 49 128 402
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 83.6 0.0 * 95.5 97.3 99.0 100.5
Weighted Avg. Price 82.7 0.0 * 95.3 97.3 99.1 100.5
Avg. Price Bottom 5 Trades 81.2 0.0 * 95.2 97.3 98.9 100.1
2nd Quartile Price 81.3 0.0 * 95.2 97.3 99.0 100.2
3rd Quartile Price 84.4 0.0 * 95.3 97.4 99.0 100.2
4th Quartile Price 84.6 0.0 * 95.3 97.4 99.0 101.1
Avg. Price Top 5 Trades 85.9 0.0 * 95.8 97.4 99.1 101.4
Standard Deviation 2.4 0.0 * 0.9 0.0 0.0 0.5
     VOLUME OF TRADES (000'S) 4,200,000.0 0.0 * 3,222,500.0 329,858.0 748,650.0 1,356,845.0
     NUMBER OF TRADES 22 0 * 13 37 85 216
JUNE Settlement
METRIC COUPON
<= 3.0 3.5 4 4.5 5 5.5 > 5.5
UMBS
AVERAGE PRICE 0.0 0.0 * * 96.7 98.7 100.7
Weighted Avg. Price 0.0 0.0 * * 96.7 98.7 100.7
Avg. Price Bottom 5 Trades 0.0 0.0 * * 96.7 98.6 100.2
2nd Quartile Price 0.0 0.0 * * 96.7 98.6 100.3
3rd Quartile Price 0.0 0.0 * * 96.7 98.7 100.3
4th Quartile Price 0.0 0.0 * * 96.8 98.7 101.6
Avg. Price Top 5 Trades 0.0 0.0 * * 96.8 98.8 102.5
Standard Deviation 0.0 0.0 * * 0.1 0.0 0.7
     VOLUME OF TRADES (000'S) 0.0 0.0 * * 107,500.0 415,250.0 1,042,465.0
     NUMBER OF TRADES 0 0 * * 16 81 194
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 * 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 * 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 * 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 * 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 * 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 * 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 * 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 * 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 * 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 * 0 0
* Indicates trade count is less than 5

The pricing tables for Agency TBA and Agency Specified Pass-thrus do not contain certain transaction volume related items after December 14th, 2011.

Data updated with current day's trades at approximately 8PM New York time

Effective June 1st, 2015 ABS Listor Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-ICE Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email tracedataservices@finra.org.